Darko Medved: Stochastic Modelling Longevity – Case of Slovenia
Source: Seminar for probability, statistics, and financial mathematics
Povzetek: In our presentation we will present an application of the Lee Carter as well as Poisson log-bilinear model to project mortality for Slovenian population. Stochastic methods are a powerful approach to mortality projections and combine a demographic model with a time-series model. In this respect, those methods allow uncertainty in forecasts, which is not the case with deterministic projections. In the stochastic framework, the results of the stochastic projections consist of point estimates and interval estimates. Those projections were then used to construct first life annuity tables for the Slovenian market. As data on the selection effect of annuity owners are not available for the Slovenian market, we have used selection statistics from UK data. At the end we will present a method which improves LC projections by mixing mortality experience.